Advanced Search
Journal search
Journal cover: Managerial Finance

Managerial Finance

ISSN: 0307-4358

Online from: 1975

Subject Area: Accounting and Finance

Content: Latest Issue | icon: RSS Latest Issue RSS | Previous Issues


Previous article.Icon: Print.Table of Contents.Icon: .

Using Canonical Correlation to Identify Arbitrage Pricing Theory Factors

Document Information:
Title:Using Canonical Correlation to Identify Arbitrage Pricing Theory Factors
Author(s):Carl B. McGowan, Jr., (University of Michigan - Hint), William Dobson, (Bentley College)
Citation:Carl B. McGowan, Jr., William Dobson, (1993) "Using Canonical Correlation to Identify Arbitrage Pricing Theory Factors", Managerial Finance, Vol. 19 Iss: 3/4, pp.86 - 92
Article type:General review
DOI:10.1108/eb013719 (Permanent URL)
Publisher:MCB UP Ltd
Abstract:This paper presents a new research design to test the efficacy of the Arbitrage Pricing Theory of Ross [1976], similar to that applied by Christofi, Christofi and Philippatos [1993]. In particular, we use a combination of factor analysis and canonical correlation to test the underlying relationships between APT factors developed using factor analysis and unanticipated changes in five macro-economic variables that have been shown to be related to stock returns. The results of this paper indicate that the first factor of industry returns is strongly related to the S&P 500 while the remaining four factors are highly correlated with the term structure of interest rates, the rate of inflation, the default premium, and the industrial production, respectively.

Backfiles Disclaimer

Articles that form part of the Emerald Backfiles have been created through digital scanning. Whilst all efforts have been made to ensure accuracy, Emerald will not be held responsible for any inaccuracies. If you require further clarification please contact

Fulltext Options:



Existing customers: login
to access this document


- Forgot password?
- Athens/Institutional login



Downloadable; Printable; Owned
HTML, PDF (353kb)

Due to our platform migration, pay-per-view is temporarily unavailable.

To purchase this item please login or register.


- Forgot password?

Recommend to your librarian

Complete and print this form to request this document from your librarian

Marked list

Bookmark & share

Reprints & permissions